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The longest book I've ever read will have to be Michel Zevaco's The Pardaillan. It is exactly ten volumes, and I could not stop untill I finished all. In the end the hero blows himself up with a chamber full of gun powder, but no one could find any evidence that he was dead. So he could have faked it. I remember how I searched whether any further volume existed. I could only find Le Capitan and read it also in the hope that it might have something to do with the fate of the knight Pardaillan, but it was a totally different story. If you are looking for an exiting story you won't find a better one than The Pardaillan.
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The House at Pooh Corner. I feared it would never end and I was praying I might die rather than have to live through it.